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Liquidity and CDS premiums on European companies around the Subprime crisis
Lesplingart, Clothilde; Majois, Christophe; Petitjean, … - In: Review of derivatives research 15 (2012) 3, pp. 217-256
Persistent link: https://www.econbiz.de/10009709684
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Market microstructure, banks' behaviour and interbank spreads : evidence after the crisis
Kapar, Burcu; Iori, Giulia; Gabbi, Giampaolo; Germano, Guido - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 283-331
Persistent link: https://www.econbiz.de/10012226919
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The impact of liquidity on senior credit index spreads during the subprime crisis
Marra, Miriam - In: International review of financial analysis 37 (2015), pp. 148-167
Persistent link: https://www.econbiz.de/10011317226
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The price of liquidity : CD rates charged by money market funds
Whitledge, Matthew D.; Winters, Drew B. - In: Journal of banking & finance 54 (2015), pp. 104-114
Persistent link: https://www.econbiz.de/10011377794
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CDS central counterparty clearing liquidation : road to recovery or invitation to predation?
Tywoniuk, Magdalena - 2017
Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has … well as, regulatory implications for a Lender of Last Resort in various liquidity scenarios …
Persistent link: https://www.econbiz.de/10011870658
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Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of banking & finance 37 (2013) 12, pp. 5511-5525
Persistent link: https://www.econbiz.de/10010343659
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - 2013
We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … CDS spreads; on average, liquidity risk accounts for 24% of CDS spreads. Consistent with recent models of intermediary …
Persistent link: https://www.econbiz.de/10010258589
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The time varying properties of credit and liquidity components of CDS spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - 2012
Persistent link: https://www.econbiz.de/10009520563
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Release of the Kraken: A novel money multiplier equation's debut in 21st century banking
Hanley, Brian P. - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-3, pp. 1-25
Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new...
Persistent link: https://www.econbiz.de/10010307970
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What determines wholesale funding costs of the global systemically important banks?
Cottrell, Simon; Yu, Xiao; Delpachitra, Sarath B.; Ma, … - In: Journal of banking & finance 132 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013270312